"In the US, equities have outperformed bonds by around 7% p.a. for most of the 20th century. Economists have long been puzzled by the magnitude of this outperformance. For sure annual stock returns are more volatile than annual bond returns. But most models used by economists show an equity risk premium of 1 - 2 % maximum. Why should stocks require such a large compensation for their risk.
Benartzi and Thaler (1995) propose an explanation based on prospect theory. What if investors aren't risk-averse over variable returns, but rather they care about the chance of a loss"
Montier (2002) page 23
"...the equity premium, the extra return that people require to be compensated for the risk of investing in the stock market..."
Shiller (2000) [book]
Possible explanations of the equity premium puzzle:
The puzzle is an illusion: the empirical data are wrong
High risk aversion
Nonstandard utility functions
Autocorrelation in returns
Time varying expected returns
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Or, more likely, a mixture of the above.
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